Why would cold weather make me feel depressed?

Depends: From a biopsychoocial understanding, i would think that the cold weather may lead to less exercise (endorphin-feel good hormones), carb craving (leading to an endocrine etiology for the depression), an fewer human interactions (it's too cold to get out) there is a sound rationale or seasonal affective disorder.

Lack of light: Inadequate light exposure has been shown to be related to depression including working the night shift and winter in gloomy climates.